Ambiguity Made Precise: A Comparative Foundation
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TLDR
The authors proposed a notion of absolute ambiguity aversion by building on the notion of comparative ambiguity aversion, and characterized it for a preference model which encompasses some of the most popular models in the literature.About:
This article is published in Journal of Economic Theory.The article was published on 2002-02-01 and is currently open access. It has received 483 citations till now. The article focuses on the topics: Ambiguity aversion & Ellsberg paradox.read more
Citations
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A Smooth Model of Decision Making under Ambiguity
TL;DR: In this article, the authors propose a model of preferences over acts such that the decision maker evaluates acts according to the expectation (over a set of probability measures) of an increasing transformation of an act's expected utility.
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A Smooth Model of Decision Making Under Ambiguity
TL;DR: In this article, a model of preferences over acts is proposed and axiomatize, such that the decision maker will preference act f to act g if and only if Eμφ (Eπu ◦ f) ≥ Eπu g, where E is the expectation operator, u is a vN-M utility function, φ is an increasing transformation, and μ is a subjective probability over the set Π of probability measures π that thedecision maker thinks are relevant given his subjective information.
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Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
TL;DR: In this article, the authors characterize the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g,
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Differentiating ambiguity and ambiguity attitude
TL;DR: This paper introduces a relation derived from the DM's preferences, called “unambiguous preference”, and shows that it can be represented by a set of probabilities, and argues that it is a behavioral representation of the “ambiguity” that the DM may perceive.
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Ambiguity, risk, and asset returns in continuous time
Zengjing Chen,Larry G. Epstein +1 more
TL;DR: In this article, a continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible, is presented. But the model is restricted to a representative agent asset market setting.
References
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Risk, Ambiguity, and the Savage Axioms
TL;DR: The notion of "degrees of belief" was introduced by Knight as mentioned in this paper, who argued that people tend to behave "as though" they assigned numerical probabilities to events, or degrees of belief to the events impinging on their actions.
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Risk Aversion in the Small and in the Large
TL;DR: In this article, a measure of risk aversion in the small, the risk premium or insurance premium for an arbitrary risk, and a natural concept of decreasing risk aversion are discussed and related to one another.
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Theory of capacities
TL;DR: In this article, the conditions générales d'utilisation (http://www.numdam.org/legal.php) of a fichier do not necessarily imply a mention of copyright.